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Rare Events in Stochastic Systems: Modeling, Simulation Design and Algorithm Analysis

Yixi Shi

Title:
Rare Events in Stochastic Systems: Modeling, Simulation Design and Algorithm Analysis
Author(s):
Shi, Yixi
Thesis Advisor(s):
Blanchet, Jose
Date:
Type:
Theses
Degree:
Ph.D., Columbia University
Department(s):
Industrial Engineering and Operations Research
Persistent URL:
Abstract:
This dissertation explores a few topics in the study of rare events in stochastic systems, with a particular emphasis on the simulation aspect. This line of research has been receiving a substantial amount of interest in recent years, mainly motivated by scientific and industrial applications in which system performance is frequently measured in terms of events with very small probabilities.The topics mainly break down into the following themes: Algorithm Analysis: Chapters 2, 3, 4 and 5. Simulation Design: Chapters 3, 4 and 5. Modeling: Chapter 5. The titles of the main chapters are detailed as follows: Chapter 2: Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks Chapter 3: Splitting for Heavy-tailed Systems: An Exploration with Two Algorithms Chapter 4: State Dependent Importance Sampling with Cross Entropy for Heavy-tailed Systems Chapter 5: Stochastic Insurance-Reinsurance Networks: Modeling, Analysis and Efficient Monte Carlo
Subject(s):
Engineering
Mathematics
Item views
627
Metadata:
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Suggested Citation:
Yixi Shi, , Rare Events in Stochastic Systems: Modeling, Simulation Design and Algorithm Analysis, Columbia University Academic Commons, .

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